Volatility at Record Low Signals More BOJ Stimulus: Japan Credit
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The drop in a measure of potential swings in Japanese government bonds to a record low is a signal of more monetary easing to come as the economy shrinks.
Implied volatility in JGB futures, a gauge of expected moves used to price options, dropped to 1.27 percent, the least since at least 2002 and compared with 3.71 percent for similar U.S. contracts, data compiled by Bloomberg show. Japan’s 10-year note yield slid to a three-month low of 0.73 percent today, extending its decline from yesterday when data showed machinery orders decreased more than estimated. Central bank interest rates near zero are limiting the scope for bond yields to decline, keeping volatility low.